A multiple-curve HJM model of interbank risk

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Crépey, Stéphane, et al. “A Multiple-Curve HJM Model of Interbank Risk”. Mathematics and Financial Economics, vol. 6, no. 3, 2012, pp. 155-90, https://doi.org/10.1007/s11579-012-0083-4.
Crépey, S., Grbac, Z., & Nguyen, H.-N. (2012). A multiple-curve HJM model of interbank risk. Mathematics and Financial Economics, 6(3), 155-190. https://doi.org/10.1007/s11579-012-0083-4
Crépey S, Grbac Z, Nguyen HN. A multiple-curve HJM model of interbank risk. Mathematics and Financial Economics. 2012;6(3):155-90.
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Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting SSRN Electronic Journal 2023
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Citations Analysis
Category Category Repetition
Social Sciences: Finance19
Science: Mathematics16
Social Sciences: Economic theory. Demography: Economics as a science13
Social Sciences: Commerce: Business13
Social Sciences: Statistics11
Science: Mathematics: Probabilities. Mathematical statistics4
Technology: Manufactures: Production management. Operations management2
Technology: Engineering (General). Civil engineering (General)2
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods2
Technology: Technology (General): Industrial engineering. Management engineering1
Social Sciences: Commerce: Business: Accounting. Bookkeeping1
Social Sciences: Finance: Insurance1
The category Social Sciences: Finance 19 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA and was published in 2012. The most recent citation comes from a 2023 study titled Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting. This article reached its peak citation in 2017, with 8 citations. It has been cited in 20 different journals, 15% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 22 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year